MDM.test  R Documentation 
This function computes multivariate DieboldMariano test for the equal predictive accuracy of two or more nonnested forecasting models. The null hypothesis of this test is that the evaluated forecasts have the same accuracy. The alternative hypothesis is that Equal predictive accuracy (EPA) does not hold.
MDM.test(realized,evaluated,q,statistic="Sc",loss.type="SE")
realized 

evaluated 

q 

statistic 

loss.type 
method to compute the loss function, 
class htest
object, list
of
statistic 
test statistic 
parameter 

alternative 
alternative hypothesis of the test 
p.value 
pvalue 
method 
name of the test 
data.name 
names of the tested objects 
Mariano R.S., Preve, D., 2012. Statistical tests for multiple forecast comparison. Journal of Econometrics 169, 123–130.
data(MDMforecasts) ts < MDMforecasts$ts forecasts < MDMforecasts$forecasts MDM.test(realized=ts,evaluated=forecasts,q=10,statistic="S",loss.type="AE")
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